June 14, 2011

OSFI’s revolving door revolved again, with the departure of the Assistant Croupier:

I am writing to announce the departure from OSFI of Mark White, Assistant Superintendent, Regulation Sector, effective October 31, 2011. Mark has accepted a position with a federally regulated financial institution and will assume his new role on November 1, 2011.

You can’t see the Sino-Forest for the trees:

Horsley, Chief Executive Officer Allen Chan, and director William Ardell held a 68-minute conference call with investors and analysts yesterday to refute assertions from Block’s Muddy Waters LLC that Sino-Forest overstated its timber holdings. Sino-Forest slumped 33 percent yesterday after the company’s earnings missed analysts’ estimates.

Paulson may have lost about C$515.5 million ($532.4 million) since June 1, the day before the Muddy Waters report on Sino-Forest was released.

“Because Muddy Waters never approached the company before it issued the report, it came as a total surprise to us,” Chan said. “Had Muddy Waters approached us before the release of the report, definitely we would have had lots of opportunity to explain to them, to show them all the errors that they have made in the report.”

The company has established an independent committee to investigate Muddy Waters’ allegations and appointed PricewaterhouseCoopers LLP to assist. The probe won’t be finished for two to three months, slowing the pace of timberland acquisitions, Sino-Forest said yesterday in its earnings statement.

From the last two paragraphs, I’m not sure whether refuting the allegations is supposed to be easy or hard!

Time for some yellow journalism!

YLO Issues, 2011-6-13
Ticker Quote
6/13
Quote
6/14
Bid YTW
6/14
YTW
Scenario
6/14
Performance
6/14
(bid/bid)
YLO.PR.A 22.22-29 22.61-74 11.06% Soft Maturity
2012-12-30
+1.76%
YLO.PR.B 15.93-00 15.54-74 14.70% Soft Maturity
2017-06-29
-2.45%
YLO.PR.C 16.12-22 15.20-35 10.66% Limit Maturity -5.71%
YLO.PR.D 16.25-40 15.75-88 10.50% Limit Maturity -3.08%

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 15bp, FixedResets losing 1bp and DeemedRetractibles gaining 11bp. Volume was good.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1771 % 2,479.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1771 % 3,729.8
Floater 2.44 % 2.20 % 41,145 21.79 4 0.1771 % 2,677.6
OpRet 4.88 % 2.61 % 67,419 0.37 9 0.0903 % 2,432.6
SplitShare 5.25 % -0.26 % 63,878 0.50 6 -0.0179 % 2,498.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0903 % 2,224.4
Perpetual-Premium 5.66 % 4.75 % 151,549 0.77 12 -0.0378 % 2,075.2
Perpetual-Discount 5.46 % 5.54 % 120,633 14.45 18 0.1475 % 2,179.8
FixedReset 5.15 % 3.28 % 192,360 2.82 57 -0.0053 % 2,313.4
Deemed-Retractible 5.07 % 4.88 % 294,447 6.32 47 0.1134 % 2,156.8
Performance Highlights
Issue Index Change Notes
HSB.PR.C Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.05 %
GWO.PR.I Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.79
Bid-YTW : 5.62 %
HSB.PR.D Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.96 %
POW.PR.B Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-14
Maturity Price : 24.10
Evaluated at bid price : 24.36
Bid-YTW : 5.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.D FixedReset 83,257 RBC crossed two blocks of 25,000 each, both at 27.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 27.23
Bid-YTW : 3.54 %
NA.PR.L Deemed-Retractible 74,976 Desjardins crossed 37.400 at 25.10. TD crossed 24,100 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %
FTS.PR.C OpRet 52,087 RBC crossed 50,000 at 25.83.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-14
Maturity Price : 25.50
Evaluated at bid price : 25.83
Bid-YTW : -7.86 %
BMO.PR.H Deemed-Retractible 51,117 RBC crossed 40,000 at 25.48.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-03-27
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.58 %
RY.PR.P FixedReset 48,005 TD crossed 25,000 at 27.16.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 3.13 %
NA.PR.K Deemed-Retractible 34,220 TD crossed 24,900 at 25.61.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-14
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : -4.23 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.O Perpetual-Premium Quote: 25.50 – 25.88
Spot Rate : 0.3800
Average : 0.2419

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.63 %

IAG.PR.C FixedReset Quote: 26.70 – 27.00
Spot Rate : 0.3000
Average : 0.2144

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.39 %

BAM.PR.O OpRet Quote: 26.00 – 26.45
Spot Rate : 0.4500
Average : 0.3674

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 2.88 %

BNA.PR.E SplitShare Quote: 24.20 – 24.58
Spot Rate : 0.3800
Average : 0.3062

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.49 %

MFC.PR.E FixedReset Quote: 26.56 – 26.79
Spot Rate : 0.2300
Average : 0.1673

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.59 %

GWO.PR.N FixedReset Quote: 24.50 – 24.84
Spot Rate : 0.3400
Average : 0.2776

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %

2 Responses to “June 14, 2011”

  1. prefblog649 says:

    With respect to Volume Highlights on June 14 Blog, you list NA.PR.L as having a hard maturity date in 2022. After reviewing the March 7, 2005 prospectus, it appears this series has an infinite maturity date. Am I missing something here?

  2. jiHymas says:

    Welcome to the blog!

    See the discussion of DeemedRetractibles at http://www.prefletter.com/whatPrefLetter.php and the January, February, March and June editions of PrefLetter for discussion.

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